Optimal trading of algorithmic orders in a liquidity fragmented market place

DOI10.1007/s10479-015-1815-7zbMath1318.90066OpenAlexW2029718075MaRDI QIDQ492830

Nataša Krejić, Miles Kumaresan

Publication date: 21 August 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1815-7

zbMATH Keywords

nonlinear programmingprice impactalgorithmic tradingfill probabilitymultiple trading venuesoptimal execution strategy

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Case-oriented studies in operations research (90B90)

Related Items (2)

Negative selection -- a new performance measure for automated order execution ⋮ The rise of the machines in commodities markets: new evidence obtained using strongly typed genetic programming

Cites Work

• A model for optimal execution of atomic orders
• High frequency trading, liquidity, and execution cost
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• Dynamic liquidation under market impact
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal Control of Trading Algorithms: A General Impulse Control Approach
• High-frequency trading in a limit order book
• Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Optimal execution strategies in limit order books with general shape functions

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